Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0273 |
| Annualized Std Dev | 0.2605 |
| Annualized Sharpe (Rf=0%) | -0.1047 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4526.0000 |
| NAs | 1.0000 |
| Minimum | -0.2885 |
| Quartile 1 | -0.0041 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0047 |
| Maximum | 0.3201 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0003 |
| Stdev | 0.0164 |
| Skewness | 0.6884 |
| Kurtosis | 85.9918 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0142 |
| Loss Deviation | 0.0154 |
| Downside Deviation (MAR=210%) | 0.0157 |
| Downside Deviation (Rf=0%) | 0.0117 |
| Downside Deviation (0%) | 0.0117 |
| Maximum Drawdown | 0.8253 |
| Historical VaR (95%) | -0.0161 |
| Historical ES (95%) | -0.0373 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-01-07 | 2009-03-09 | NA | -0.8253 | 4331 | 1301 | NA |
| 2003-07-10 | 2003-08-04 | 2003-12-26 | -0.1194 | 119 | 18 | 101 |
| 2003-04-21 | 2003-04-21 | 2003-06-05 | -0.0234 | 33 | 1 | 32 |
| 2003-06-17 | 2003-06-24 | 2003-07-01 | -0.0226 | 11 | 6 | 5 |
| 2003-12-30 | 2004-01-02 | 2004-01-06 | -0.0146 | 5 | 3 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | -0.5 | -0.1 | 0.5 | 0.1 | -0.7 | 1.6 | 1.1 | 0 | 0.3 | 0.7 | 3.1 |
| 2004 | 0.9 | 0.8 | 0.4 | 0.5 | 0.1 | 1.4 | 0.1 | -0.3 | 0.2 | 0.8 | -0.1 | 1 | 6 |
| 2005 | 0.5 | -0.1 | -0.8 | 0 | 0.5 | -0.1 | -0.6 | -0.1 | 0.5 | -0.7 | -0.1 | 0.3 | -0.6 |
| 2006 | 0.2 | 0 | 0 | 1.4 | 0.4 | 0.3 | 0.6 | 0.2 | -1.4 | -0.1 | -0.1 | -0.1 | 1.5 |
| 2007 | -0.2 | 0.3 | 0.1 | 0.5 | 0.3 | 0.9 | -1 | 1.6 | 1.1 | -1.5 | 1.9 | 1.9 | 5.8 |
| 2008 | 0.3 | -0.3 | 2.9 | 0.9 | 0.1 | 0.3 | 1.3 | -0.1 | 1.8 | 4.2 | -8.6 | 4.1 | 6.5 |
| 2009 | -0.7 | 1.5 | 1.4 | 1.4 | 1.5 | 2.3 | 0.8 | -1.4 | -1.2 | -3.8 | 0.7 | 1.1 | 3.6 |
| 2010 | 0.4 | 0.7 | 1.7 | -0.5 | -1.1 | -1.1 | 0.1 | 1.1 | 0.7 | 0.5 | -0.1 | 0 | 2.4 |
| 2011 | 1.1 | -0.5 | 0.2 | 0.7 | 0 | 0.8 | 0.9 | -0.2 | -2.1 | -2.4 | -0.3 | 1.4 | -0.4 |
| 2012 | 0.9 | 0.7 | -0.4 | -0.6 | 0.1 | -1 | 1 | 0.7 | 0.4 | 1.6 | 0.1 | 0 | 3.7 |
| 2013 | -0.3 | -0.6 | -0.3 | -0.5 | -1.6 | -0.1 | -0.1 | 0.6 | 0.7 | -0.3 | 0.3 | 0.2 | -2 |
| 2014 | 0 | 0.3 | 0.4 | 0.1 | 0 | 0.2 | 0 | 0.1 | 0 | 0.1 | -0.1 | 2.1 | 3.3 |
| 2015 | -0.6 | 0.5 | 0.5 | -0.2 | 0.4 | 0.5 | 0.1 | 0.4 | 0.1 | 0.6 | 1.9 | 0.2 | 4.7 |
| 2016 | 0.4 | -0.8 | 0.4 | 0.6 | 0.7 | 0.2 | 0.5 | -0.6 | 0.3 | -0.1 | -1.3 | 0.8 | 1.2 |
| 2017 | -0.2 | -0.2 | 0 | -0.4 | 0.8 | 1.5 | 0.8 | -0.1 | 0.9 | -0.1 | 0.7 | 0.2 | 3.8 |
| 2018 | -0.6 | 0.1 | 0.8 | 0.6 | 0.9 | 0.3 | 0.1 | 0.1 | -0.6 | 1.4 | 0.6 | 1 | 4.8 |
| 2019 | -0.2 | 0.1 | 1.3 | 0.2 | -1.4 | -0.5 | -0.2 | 0.4 | 0 | -0.6 | -0.3 | 0.4 | -0.8 |
| 2020 | -0.5 | -4 | -9.7 | -1.7 | 1.2 | 1.5 | 1 | 0.1 | -0.1 | 0 | 0.9 | 1.1 | -10.3 |
| 2021 | 0.7 | 0.9 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2003-03-27 15 SPY 87.2 0.0008 -0.0113 0.047 -0.0247 -0.239 -0.416 NA <NA> NA NA NA
2 2003-03-28 15.0 SPY 86.7 -0.005 -0.033 0.0281 -0.03 -0.243 -0.422 NA <NA> NA NA NA
3 2003-03-31 15.1 SPY 84.7 -0.0227 -0.0225 -0.0019 -0.0302 -0.260 -0.444 NA <NA> NA NA NA
4 2003-04-01 15.0 SPY 86.0 0.0153 -0.0169 0.0232 -0.0235 -0.245 -0.440 NA <NA> NA NA NA
5 2003-04-02 15.1 SPY 88.1 0.0242 0.0119 0.0649 -0.00120 -0.221 -0.42 NA <NA> NA NA NA
6 2003-04-03 15.2 SPY 87.7 -0.00480 0.0063 0.0509 -0.037 -0.222 -0.419 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
